The authors examine the main factors determining state bond market yield dynamics and estimate the statistical characteristics of short-term transactions. Analysis of return time-series has shown that there exists an essential autocorrelation. Various forecasting schemes are tested, and predictors based on non-Gaussian distributions proved to be most effective. The decision algorithms have included a solution to the modified optimal portfolio problem, where the forecasts were used as expected returns and the covariance matrix was estimated via the forecasting errors. The authors show that these decision rules could effectively be applied in the Russian state bond market
state debt; short-term state bonds; portfolio theory; returnforecasting; decision rules; risk premia; performance evaluation
In order to set up a list of libraries that you have access to,
you must first login
or sign up.
Then set up a personal list of libraries from your profile page by
clicking on your user name at the top right of any screen.